A study on Factors Influencing the Herding Behavior of Indian Stock Market

Behavioral finance proposes that cognitive traits of investors impact their investment decisionswhich are not always rational, in contradiction to traditional finance. These cognitive traits of stockinvestors are influenced by their demographical profile and the financial information that they receive fromvarious sources which in turn influences their stock investment decisions. Investors with similardemographic profile tend to follow a similar pattern with regard to their investment behavior biases. Themain objective is to study the Factors Influencing the Herding Behavior of Indian Stock Market. Using thestate space model, calculate the herding measure using the log cross-sectional standard deviation of betaof the market component (using the kalman filter approach).